Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 2 2 2
Score -6.28 -4.3 -7.92
Market Cap (Millions USD) NA NA NA
Predicted Beta 0.2 0.21 0.23
Idiosyncratic Volatility 1.08 1.35 1.9

Annualized return and volatility

OAKIX
Annualized Return 0.0751
Annualized Std Dev 0.1874
Annualized Sharpe (Rf=0%) 0.4006

Row

Daily Return Statistics

OAKIX
Observations 5112.0000
NAs 2.0000
Minimum -0.0973
Quartile 1 -0.0049
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0060
Maximum 0.1004
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0118
Skewness -0.3619
Kurtosis 8.8890

Downside Risk

OAKIX
Semi Deviation 0.0086
Gain Deviation 0.0083
Loss Deviation 0.0095
Downside Deviation (MAR=210%) 0.0133
Downside Deviation (Rf=0%) 0.0085
Downside Deviation (0%) 0.0085
Maximum Drawdown 0.6083
Historical VaR (95%) -0.0175
Historical ES (95%) -0.0289
Modified VaR (95%) -0.0181
Modified ES (95%) -0.0341
From Trough To Depth Length To Trough Recovery
2007-07-17 2009-03-09 2011-02-08 -0.6083 916 425 491
2002-05-20 2003-03-12 2003-11-13 -0.3436 386 211 175
2018-01-29 2018-12-24 NA -0.3159 490 233 NA
2015-05-22 2016-02-11 2017-03-03 -0.2757 455 186 269
2011-05-03 2011-09-22 2012-12-18 -0.2713 417 100 317

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec OAKIX
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 -0.4 1.8 0.0 -0.1 1.0 0.0 0.5 0.5 0.0 1.1 0.0 0 4.4
2001 1.3 0.8 0.0 1.0 0.2 0.0 1.3 0.0 -1.1 0.2 0.0 0 3.7
2002 0.4 1.5 0.1 0.7 0.0 0.6 -1.5 0.0 0.7 0.5 0.0 0 3.1
2003 0.0 0.0 0.7 0.5 0.0 -0.6 -0.1 0.0 1.5 0.0 0.9 0 2.8
2004 0.0 0.6 1.0 0.0 0.0 -0.3 0.0 0.5 0.8 0.4 0.9 0 4.1
2005 0.3 0.4 0.2 0.0 0.6 0.0 0.5 1.8 0.0 1.0 1.1 0 6.1
2006 0.1 0.1 0.0 0.2 0.3 0.0 -0.5 0.6 0.0 0.3 0.2 0 1.2
2007 0.6 -0.7 0.0 0.3 0.4 0.0 -0.6 0.0 0.3 -2.3 0.0 0 -2.1
2008 1.3 0.0 4.3 1.3 0.0 -1.9 -0.5 0.0 -0.6 0.0 -7.5 0 -4.0
2009 0.0 0.0 3.0 0.8 1.9 1.4 0.0 -2.8 -1.9 0.0 2.7 0 5.1
2010 1.2 1.2 1.2 0.0 -0.9 0.6 0.0 3.0 0.2 0.0 1.9 0 8.8
2011 1.8 -1.0 1.1 0.0 -1.5 0.9 -0.9 -0.8 0.0 -3.3 -0.8 0 -4.4
2012 2.5 0.7 0.0 -0.2 -1.5 0.0 -0.9 0.0 1.4 1.2 0.0 0 3.2
2013 0.6 -0.7 -0.4 -0.1 0.0 1.3 0.6 0.0 1.1 -1.0 0.0 0 1.5
2014 0.0 0.0 0.4 0.4 0.0 0.6 -0.7 0.0 -1.0 0.0 -0.2 0 -0.4
2015 0.0 0.0 0.3 -0.2 -0.6 0.9 0.0 -3.1 0.2 0.0 0.7 0 -1.7
2016 -0.3 2.3 -2.0 0.0 -0.6 0.6 -0.5 1.0 0.0 -0.4 0.6 0 0.7
2017 0.4 1.4 0.0 0.0 0.3 0.0 0.5 0.3 0.0 0.2 -0.6 0 2.6
2018 0.5 -1.4 0.0 -0.4 1.2 0.0 -0.7 0.0 -0.7 1.7 0.0 0 0.3
2019 0.4 0.4 1.8 -0.5 0.0 0.2 -0.2 0.0 -1.2 1.3 0.0 0 2.1

Row

Rolling Performance Chart

Snail Trail Chart